Frequency domain estimation of temporally aggregated Gaussian cointegrated systems
From MaRDI portal
Publication:278231
DOI10.1016/j.jeconom.2006.03.005zbMath1418.62307MaRDI QIDQ278231
J. Roderick McCrorie, Marcus J. Chambers
Publication date: 2 May 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2006.03.005
62F12: Asymptotic properties of parametric estimators
62P20: Applications of statistics to economics
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62M15: Inference from stochastic processes and spectral analysis
Related Items
The estimation of continuous time models with mixed frequency data, Discrete time representation of stationary and non-stationary continuous time systems, Testing for seasonal unit roots by frequency domain regression, Cointegration and sampling frequency, DISCRETE TIME REPRESENTATIONS OF COINTEGRATED CONTINUOUS TIME MODELS WITH MIXED SAMPLE DATA, REX BERGSTROM’S CONTRIBUTIONS TO CONTINUOUS TIME MACROECONOMETRIC MODELING, ESTIMATING CONTINUOUS-TIME MODELS ON THE BASIS OF DISCRETE DATA VIA AN EXACT DISCRETE ANALOG
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